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dc.contributor.authorLeövey, Andrés E.en_US
dc.contributor.authorLux, Thomasen_US
dc.date.accessioned2011-12-21en_US
dc.date.accessioned2012-01-26T13:31:36Z-
dc.date.available2012-01-26T13:31:36Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/54943-
dc.description.abstractWe study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a formalism, its parameters have been estimated mostly by fitting the numerical approximation of the associated non-Gaussian pdf to empirical data, cf. Castaing et al. [Physica D, 46, 177 (1990)]. More recently, an alternative estimator based upon qth order absolute moments has been introduced by Kiyono et al. [Phys. Rev. E 76 41113 (2007)]. In this paper, we pursue this moment-based approach further and develop a more rigorous Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We show that even under uncertainty about the actual number of cascade steps, our methodology yields very reliable results for the estimated intermittency parameter. Employing the Levinson-Durbin algorithm for best linear forecasts, we also show that estimated parameters can be used for forecasting the evolution of the turbulent flow. We compare forecasting results from the GMM and Kiyono et al.'s procedure via Monte Carlo simulations. We finally test the applicability of our approach by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and foreign exchange markets.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKiel Working Papers 1746en_US
dc.subject.jelC20en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordrandom Lognormal cascadesen_US
dc.subject.keywordGMM estimationen_US
dc.subject.keywordbest linear forecastingen_US
dc.subject.keywordvolatility of financial returnsen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwMomentenmethodeen_US
dc.subject.stwTheorieen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwWelten_US
dc.titleParameter estimation and forecasting for multiplicative lognormal cascadesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn680291849en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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